Create a Database e.g. "MyDataBase" and a table under that DataBase in Sql Server and name it "EMPLOYEE" as shown in figure:

Click on image to enlarge

Note: EMP_ID column is set to Primary key and Identity specification is set to yes with Identity increment and Identity seed equal to 1. Insert some data in this table that you want to show in the Gridview.

Now in web.config file add the connectionstring under <configuration> tag :